On the Approximation of Toeplitz Operators for Nonparametric H∞-norm Estimation

Stephen Tu, Ross Boczar, Benjamin Recht

Abstract: Given a stable SISO LTI system G, we investigate the problem of estimating the H <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> -norm of G, denoted ||G|| <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> , when G is only accessible via noisy observations. Wahlberg et al. [1] recently proposed a nonparametric algorithm based on the power method for estimating the top eigenvalue of a matrix. In particular, by applying a clever time-reversal trick, Wahlberg et al. implement the power method on the top left n×n corner Tn of the Toeplitz (convolution) operator associated to G. In this paper, we prove sharp non-asymptotic bounds on the necessary length n needed so that ||Tn|| is an ε-additive approximation of ||G|| <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">∞</sub> . Furthermore, in the process of demonstrating the sharpness of our bounds, we construct a simple family of finite impulse response (FIR) filters where the number of timesteps needed for the power method is arbitrarily worse than the number of timesteps needed for parametric FIR identification via least-squares to achieve the same ε-additive approximation.